Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2012

• Onatski, Alexei & Uhlig, Harald, 2012, "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, volume 28, issue 3, pages 485-508, June.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012, "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, volume 28, issue 5, pages 1003-1036, October.
• Guay, Alain & Lamarche, Jean-François, 2012, "Structural Change Tests Based On Implied Probabilities For Gel Criteria," Econometric Theory, Cambridge University Press, volume 28, issue 6, pages 1186-1228, December.
• McPhail, Lihong Lu & Du, Xiaodong & Muhammad, Andrew, 2012, "Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 401-410, August.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "The Log-Linear Return Approximation, Bubbles, and Predictability," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 3, pages 643-665, June.
• Mitra, Sinchan & Sinclair, Tara M., 2012, "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, volume 16, issue 3, pages 396-422, June.
• Xiaohong Chen & Zhipeng Liao & Yixiao Sun, 2012, "Sieve Inference on Semi-nonparametric Time Series Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1849, Feb.
• Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012, "Non-linearity Induced Weak Instrumentation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1872, Sep.
• Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012, "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1878, Sep.
• Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2012, "Asymptotic Efficiency of Semiparametric Two-step GMM," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1880, Oct.
• Erhan Artuc & Panayiotis M. Pourpourides, 2012, "R&D and Aggregate Fluctuations," Working Papers, Central Bank of Cyprus, number 2012-1, Feb.
• Karen Moris, 2012, "La presse en tant que mécanisme de gouvernance partenariale:Danone et l’affaire LU - The press as a stakeholder oriented corporate governance mechanism:Danone and the LU affair," Revue Finance Contrôle Stratégie, revues.org, volume 15, issue 3, pages 1-25, September.
• Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Long Memory in German Energy Price Indices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1186.
• Helmut Lütkepohl & Aleksei Netsunajev, 2012, "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1195.
• Ansgar Belke & Ingo G. Bordon & Ulrich Volz, 2012, "Effects of Global Liquidity on Commodity and Food Prices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1199.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Persistence and Cycles in US Hours Worked," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1200.
• Helmut Lütkepohl, 2012, "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1230.
• Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012, "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1232.
• Helmut Lütkepohl, 2012, "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1235.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012, "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1247.
• Guglielmo Maria Caporale & Alessandro Girardi, 2012, "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1254.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Persistence and Cycles in the US Federal Funds Rate," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1255.
• Helmut Lütkepohl, 2012, "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1259.
• Marc Joëts, 2012, "Energy price transmissions during extreme movements," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-38.
• Olfa Kaabia & Ilyes Abid, 2012, "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries : A FAVAR Model Under Bayesian Framework," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-40.
• Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012, "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-46.
• Satyananda Sahoo & Indranil Bhattacharyya, 2012, "Yield Curve Dynamics of the Indian G-Sec Market: A Macro-Finance Approach," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 47, issue 2, pages 157-182.
• Nyong, M. O. & Udah, E. B., 2012, "Industrial Time Series of Nigeria, 1970-2009: Evolution and Unit Root Testing in the Presence of Multiple Endogenous Structural Breaks," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 12, issue 1.
• Rangan GUPTA & Roula INGLESI-LOTZ, 2012, "Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 12, issue 2.
• OZKAN, Filiz & OZKAN, Omer, 2012, "An Analysis Of Co2 Emissions Of Turkish Industries And Energy Sector," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 12, issue 2.
• Chevillon, Guillaume, 2012, "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1210, Oct.
• Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012, "Prior Selection for Vector Autoregressions," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-002, Jan.
• Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2012, "Money, Credit, Monetary Policy and the Business Cycle in the Euro Area," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-008, Mar.
• Matteo Luciani, 2012, "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-035, Oct.
• Marc Hallin & Ramon van den Akker & Bas Werker, 2012, "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-042, Nov.
• Bernd Schwaab, 2012, "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, volume 17, pages 6-11.
• George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012, "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, volume 122, issue 564, pages 316-347, November.
• Hyungsik Roger Moon & Frank Schorfheide, 2012, "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, volume 80, issue 2, pages 755-782, March, DOI: ECTA8360.
• Søren Johansen & Morten Ørregaard Nielsen, 2012, "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Econometrica, Econometric Society, volume 80, issue 6, pages 2667-2732, November, DOI: ECTA9299.
• Faruk G rsoy & H seyin Kalyoncu, 2012, "Foreign Direct Investment and Growth Relationship in Georgia," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 3, pages 267-271.
• Yen-Hsien Lee & Fang Hao, 2012, "Oil and S&P 500 Markets: Evidence from the Nonlinear Model," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 3, pages 272-280.
• Gazi Salah Uddin & Phouphet Kyophilavong & Nasim Sydee, 2012, "The Casual Nexus of Banking Sector Development and Poverty Reduction in Bangladesh," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 3, pages 304-311.
• Mehdi Abid & Maamar Sebri, 2012, "Energy Consumption-Economic Growth Nexus: Does the Level of Aggregation Matter?," International Journal of Energy Economics and Policy, Econjournals, volume 2, issue 2, pages 55-62.
• Bukhari M.S. Sillah & Hamad M.H. Al-Sheikh, 2012, "Income, Price, and Government Expenditure Elasticities of Oil in the Gulf Cooperation Council Countries," International Journal of Energy Economics and Policy, Econjournals, volume 2, issue 4, pages 333-341.
• Souhila EDDRIEF-CHERFI & Baghdad KOURBALI, 2012, "Energy Consumption and Economic Growth in Algeria: Cointegration and Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, volume 2, issue 4, pages 238-249.
• Andreas Georgantopoulos, 2012, "Electricity Consumption and Economic Growth: Analysis and Forecasts using VAR/VEC Approach for Greece with Capital Formation," International Journal of Energy Economics and Policy, Econjournals, volume 2, issue 4, pages 263-278.
• Koop, Gary & Gefang, Deborah & Campolieti, Michele, 2012, "Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-69.
• Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2012, "Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-72.
• Korobilis, Dimitris, 2012, "Bayesian forecasting with highly correlated predictors," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-80.
• Emilio Congregado & Vicente Esteve & Antonio A. Golpe, 2012, "Job Creation and the Self-employed Firm Size: evidence from Spain," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1202, Feb.
• Bashar, Omar H.M.N., 2012, "The dynamics of aggregate demand and supply shocks in ASEAN countries," Journal of Asian Economics, Elsevier, volume 23, issue 5, pages 507-518, DOI: 10.1016/j.asieco.2012.06.004.
• Kubo, Akihiro, 2012, "The US tech pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries," Journal of Asian Economics, Elsevier, volume 23, issue 6, pages 680-687, DOI: 10.1016/j.asieco.2012.06.007.
• He, Dong & Wang, Honglin, 2012, "Dual-track interest rates and the conduct of monetary policy in China," China Economic Review, Elsevier, volume 23, issue 4, pages 928-947, DOI: 10.1016/j.chieco.2012.04.013.
• Fossati, Sebastian, 2012, "Covariate unit root tests with good size and power," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3070-3079, DOI: 10.1016/j.csda.2011.05.019.
• Hautsch, Nikolaus & Yang, Fuyu, 2012, "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3774-3792, DOI: 10.1016/j.csda.2010.07.003.
• Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012, "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 12, pages 1950-1970, DOI: 10.1016/j.jedc.2012.05.008.
• Meeks, Roland, 2012, "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 568-584, DOI: 10.1016/j.jedc.2011.11.010.
• Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012, "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1229-1247, DOI: 10.1016/j.jedc.2012.03.009.
• Sharma, Anurag & Jha, Raghbendra, 2012, "Fiscal deficits, banking crises and policy reversal in a semi-open economy," Economic Modelling, Elsevier, volume 29, issue 2, pages 271-282, DOI: 10.1016/j.econmod.2011.10.005.
• Jalil, Abdul, 2012, "Modeling income inequality and openness in the framework of Kuznets curve: New evidence from China," Economic Modelling, Elsevier, volume 29, issue 2, pages 309-315, DOI: 10.1016/j.econmod.2011.10.012.
• Liew, Venus Khim-Sen & Ling, Tai-Hu & Chia, Ricky Chee-Jiun & Yoon, Gawon, 2012, "On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea," Economic Modelling, Elsevier, volume 29, issue 2, pages 326-332, DOI: 10.1016/j.econmod.2011.10.017.
• Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012, "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, volume 29, issue 2, pages 382-394, DOI: 10.1016/j.econmod.2011.11.009.
• Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012, "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, volume 29, issue 2, pages 395-407, DOI: 10.1016/j.econmod.2011.11.008.
• Soukiazis, Elias & Cerqueira, Pedro A. & Antunes, Micaela, 2012, "Modelling economic growth with internal and external imbalances: Empirical evidence from Portugal," Economic Modelling, Elsevier, volume 29, issue 2, pages 478-486, DOI: 10.1016/j.econmod.2011.12.001.
• Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012, "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, volume 29, issue 3, pages 684-690, DOI: 10.1016/j.econmod.2012.01.015.
• Chevallier, Julien, 2012, "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, volume 29, issue 3, pages 943-973, DOI: 10.1016/j.econmod.2012.02.012.
• Çatık, A. Nazif & Martin, Christopher, 2012, "Macroeconomic transitions and the transmission mechanism: Evidence from Turkey," Economic Modelling, Elsevier, volume 29, issue 4, pages 1440-1449, DOI: 10.1016/j.econmod.2012.02.015.
• Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012, "The Halle Economic Projection Model," Economic Modelling, Elsevier, volume 29, issue 4, pages 1461-1472, DOI: 10.1016/j.econmod.2012.02.010.
• Kębłowski, Piotr & Welfe, Aleksander, 2012, "A risk-driven approach to exchange rate modelling," Economic Modelling, Elsevier, volume 29, issue 4, pages 1473-1482, DOI: 10.1016/j.econmod.2012.02.002.
• Zaman, Khalid & Izhar, Zeeshan & Khan, Muhammad Mushtaq & Ahmad, Mehboob, 2012, "The relationship between financial indicators and human development in Pakistan," Economic Modelling, Elsevier, volume 29, issue 5, pages 1515-1523, DOI: 10.1016/j.econmod.2012.05.013.
• Tiwari, Aviral Kumar, 2012, "An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain," Economic Modelling, Elsevier, volume 29, issue 5, pages 1571-1578, DOI: 10.1016/j.econmod.2012.05.010.
• Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012, "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, volume 29, issue 5, pages 1585-1591, DOI: 10.1016/j.econmod.2012.05.009.
• Paradiso, Antonio & Casadio, Paolo & Rao, B. Bhaskara, 2012, "US inflation and consumption: A long-term perspective with a level shift," Economic Modelling, Elsevier, volume 29, issue 5, pages 1837-1849, DOI: 10.1016/j.econmod.2012.05.037.
• Dufrénot, Gilles & Malik, Sheheryar, 2012, "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, volume 29, issue 5, pages 1960-1967, DOI: 10.1016/j.econmod.2012.05.029.
• Hassan, Syeda Anam & Zaman, Khalid, 2012, "Effect of oil prices on trade balance: New insights into the cointegration relationship from Pakistan," Economic Modelling, Elsevier, volume 29, issue 6, pages 2125-2143, DOI: 10.1016/j.econmod.2012.07.006.
• Chang, Kuang-Liang, 2012, "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, volume 29, issue 6, pages 2298-2309, DOI: 10.1016/j.econmod.2012.06.016.
• Zhang, Yanbing & Hua, Xiuping & Zhao, Liang, 2012, "Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010," Economic Modelling, Elsevier, volume 29, issue 6, pages 2349-2361, DOI: 10.1016/j.econmod.2012.06.025.
• Lombardo, Giovanni & McAdam, Peter, 2012, "Financial market frictions in a model of the Euro area," Economic Modelling, Elsevier, volume 29, issue 6, pages 2460-2485, DOI: 10.1016/j.econmod.2012.06.024.
• Esteve, Vicente & Tamarit, Cecilio, 2012, "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, volume 29, issue 6, pages 2696-2703, DOI: 10.1016/j.econmod.2012.08.016.
• Beckmann, Joscha & Belke, Ansgar & Dobnik, Frauke, 2012, "Cross-section dependence and the monetary exchange rate model – A panel analysis," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 1, pages 38-53, DOI: 10.1016/j.najef.2011.11.003.
• Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012, "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 2, pages 165-184, DOI: 10.1016/j.najef.2012.02.001.
• Krüger, Jens J. & Hoss, Julian, 2012, "German business cycle forecasts, asymmetric loss and financial variables," Economics Letters, Elsevier, volume 114, issue 3, pages 284-287, DOI: 10.1016/j.econlet.2011.11.005.
• Zhang, Lingxiang, 2012, "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, volume 115, issue 1, pages 16-19, DOI: 10.1016/j.econlet.2011.11.018.
• Snaith, Stuart, 2012, "The PPP debate: Multiple breaks and cross-sectional dependence," Economics Letters, Elsevier, volume 115, issue 3, pages 342-344, DOI: 10.1016/j.econlet.2011.12.076.
• Camba-Mendez, Gonzalo, 2012, "Conditional forecasts on SVAR models using the Kalman filter," Economics Letters, Elsevier, volume 115, issue 3, pages 376-378, DOI: 10.1016/j.econlet.2011.12.087.
• Mandler, Martin, 2012, "Inflation-regime dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions," Economics Letters, Elsevier, volume 116, issue 3, pages 422-425, DOI: 10.1016/j.econlet.2012.04.027.
• Amiri, Arshia & Ventelou, Bruno, 2012, "Granger causality between total expenditure on health and GDP in OECD: Evidence from the Toda–Yamamoto approach," Economics Letters, Elsevier, volume 116, issue 3, pages 541-544, DOI: 10.1016/j.econlet.2012.04.040.
• Karamé, F., 2012, "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Economics Letters, Elsevier, volume 117, issue 1, pages 230-234, DOI: 10.1016/j.econlet.2012.04.089.
• Alagidede, Paul & Panagiotidis, Theodore, 2012, "Stock returns and inflation: Evidence from quantile regressions," Economics Letters, Elsevier, volume 117, issue 1, pages 283-286, DOI: 10.1016/j.econlet.2012.04.043.
• Metiu, Norbert, 2012, "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, volume 117, issue 1, pages 35-38, DOI: 10.1016/j.econlet.2012.04.074.
• Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2012, "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks," Economics Letters, Elsevier, volume 117, issue 2, pages 452-454, DOI: 10.1016/j.econlet.2012.06.031.
• Antonakakis, Nikolaos, 2012, "The great synchronization of international trade collapse," Economics Letters, Elsevier, volume 117, issue 3, pages 608-614, DOI: 10.1016/j.econlet.2012.07.041.
• Taylor, Nicholas, 2012, "Testing forecasting model versatility," Economics Letters, Elsevier, volume 117, issue 3, pages 803-806, DOI: 10.1016/j.econlet.2012.08.044.
• Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012, "Asset prices, credit and the business cycle," Economics Letters, Elsevier, volume 117, issue 3, pages 857-861, DOI: 10.1016/j.econlet.2012.08.040.
• Sun, Yixiao & Kim, Min Seong, 2012, "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 267-281, DOI: 10.1016/j.jeconom.2011.09.039.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012, "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 211-223, DOI: 10.1016/j.jeconom.2011.11.004.
• Kristensen, Dennis & Shin, Yongseok, 2012, "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 76-94, DOI: 10.1016/j.jeconom.2011.09.042.
• Kasparis, Ioannis & Phillips, Peter C.B., 2012, "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 270-284, DOI: 10.1016/j.jeconom.2012.01.037.
• Yu, Jun, 2012, "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 114-122, DOI: 10.1016/j.jeconom.2012.01.004.
• Chang, Yoosoon, 2012, "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 15-28, DOI: 10.1016/j.jeconom.2012.01.013.
• Moon, H.R. & Perron, B., 2012, "Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 29-33, DOI: 10.1016/j.jeconom.2012.01.008.
• Xu, Ke-Li, 2012, "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 147-154, DOI: 10.1016/j.jeconom.2012.01.016.
• Cheng, Xu & Phillips, Peter C.B., 2012, "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 155-165, DOI: 10.1016/j.jeconom.2012.01.022.
• Bauer, Dietmar & Maynard, Alex, 2012, "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 293-300, DOI: 10.1016/j.jeconom.2012.01.023.
• Fanelli, Luca, 2012, "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 153-163, DOI: 10.1016/j.jeconom.2012.04.002.
• Kim, Don H. & Singleton, Kenneth J., 2012, "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 32-49, DOI: 10.1016/j.jeconom.2011.12.005.
• Antoine, Bertille & Renault, Eric, 2012, "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 350-367, DOI: 10.1016/j.jeconom.2012.05.010.
• Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012, "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 499-518, DOI: 10.1016/j.jeconom.2012.05.019.
• Herbst, Edward & Schorfheide, Frank, 2012, "Evaluating DSGE model forecasts of comovements," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 152-166, DOI: 10.1016/j.jeconom.2012.06.008.
• Vašíček, Bořek, 2012, "Is monetary policy in the new EU member states asymmetric?," Economic Systems, Elsevier, volume 36, issue 2, pages 235-263, DOI: 10.1016/j.ecosys.2011.07.003.
• Hatemi-J, Abdulnasser & Uddin, Gazi Salah, 2012, "Is the causal nexus of energy utilization and economic growth asymmetric in the US?," Economic Systems, Elsevier, volume 36, issue 3, pages 461-469, DOI: 10.1016/j.ecosys.2011.10.005.
• Kriwoluzky, Alexander, 2012, "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, volume 56, issue 3, pages 373-388, DOI: 10.1016/j.euroecorev.2011.10.005.
• Dobrescu, Loretti I. & Kotlikoff, Laurence J. & Motta, Alberto, 2012, "Why aren't developed countries saving?," European Economic Review, Elsevier, volume 56, issue 6, pages 1261-1275, DOI: 10.1016/j.euroecorev.2012.04.003.
• Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012, "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, volume 13, issue 2, pages 230-252, DOI: 10.1016/j.ememar.2012.03.003.
• Neaime, Simon, 2012, "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, volume 13, issue 3, pages 268-282, DOI: 10.1016/j.ememar.2012.01.006.
• Gimet, Céline & Lagoarde-Segot, Thomas, 2012, "Financial sector development and access to finance. Does size say it all?," Emerging Markets Review, Elsevier, volume 13, issue 3, pages 316-337, DOI: 10.1016/j.ememar.2011.11.002.
• Mendes, Beatriz Vaz de Melo & Marques, Daniel S., 2012, "Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 449-464, DOI: 10.1016/j.ememar.2012.07.005.
• Engsted, Tom & Pedersen, Thomas Q., 2012, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 241-253, DOI: 10.1016/j.jempfin.2012.01.003.
• Turtle, H.J. & Zhang, Chengping, 2012, "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 334-348, DOI: 10.1016/j.jempfin.2012.03.003.
• Weber, Enzo & Zhang, Yanqun, 2012, "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 382-394, DOI: 10.1016/j.jempfin.2012.03.001.
• Cassola, Nuno & Morana, Claudio, 2012, "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 548-557, DOI: 10.1016/j.jempfin.2012.04.003.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 610-625, DOI: 10.1016/j.jempfin.2012.04.002.
• Gurgul, Henryk & Lach, Łukasz, 2012, "The electricity consumption versus economic growth of the Polish economy," Energy Economics, Elsevier, volume 34, issue 2, pages 500-510, DOI: 10.1016/j.eneco.2011.10.017.
• Rahman, Sajjadur & Serletis, Apostolos, 2012, "Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model," Energy Economics, Elsevier, volume 34, issue 2, pages 603-610, DOI: 10.1016/j.eneco.2011.08.014.
• Hou, Aijun & Suardi, Sandy, 2012, "A nonparametric GARCH model of crude oil price return volatility," Energy Economics, Elsevier, volume 34, issue 2, pages 618-626, DOI: 10.1016/j.eneco.2011.08.004.
• Boutabba, Mohamed Amine & Beaumais, Olivier & Lardic, Sandrine, 2012, "Permit price dynamics in the U.S. SO2 trading program: A cointegration approach," Energy Economics, Elsevier, volume 34, issue 3, pages 714-722, DOI: 10.1016/j.eneco.2011.04.004.
• Salim, Ruhul A. & Rafiq, Shuddhasattwa, 2012, "Why do some emerging economies proactively accelerate the adoption of renewable energy?," Energy Economics, Elsevier, volume 34, issue 4, pages 1051-1057, DOI: 10.1016/j.eneco.2011.08.015.
• Aggarwal, Raj & Akhigbe, Aigbe & Mohanty, Sunil K., 2012, "Oil price shocks and transportation firm asset prices," Energy Economics, Elsevier, volume 34, issue 5, pages 1370-1379, DOI: 10.1016/j.eneco.2012.05.001.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012, "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, volume 34, issue 5, pages 1700-1712, DOI: 10.1016/j.eneco.2012.02.008.
• Chevallier, Julien & Sévi, Benoît, 2012, "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, volume 34, issue 6, pages 1896-1909, DOI: 10.1016/j.eneco.2012.08.024.
• Qiu, Cheng & Colson, Gregory & Escalante, Cesar & Wetzstein, Michael, 2012, "Considering macroeconomic indicators in the food before fuel nexus," Energy Economics, Elsevier, volume 34, issue 6, pages 2021-2028, DOI: 10.1016/j.eneco.2012.08.018.
• Furió, Dolores & Chuliá, Helena, 2012, "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Elsevier, volume 34, issue 6, pages 2058-2065, DOI: 10.1016/j.eneco.2012.02.014.
• Jin, Xiaoye & Xiaowen Lin, Sharon & Tamvakis, Michael, 2012, "Volatility transmission and volatility impulse response functions in crude oil markets," Energy Economics, Elsevier, volume 34, issue 6, pages 2125-2134, DOI: 10.1016/j.eneco.2012.03.003.
• Wang, Yudong & Wu, Chongfeng, 2012, "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, volume 34, issue 6, pages 2167-2181, DOI: 10.1016/j.eneco.2012.03.010.
• Shahiduzzaman, Md & Alam, Khorshed, 2012, "Cointegration and causal relationships between energy consumption and output: Assessing the evidence from Australia," Energy Economics, Elsevier, volume 34, issue 6, pages 2182-2188, DOI: 10.1016/j.eneco.2012.03.006.
• Gianfreda, Angelica & Grossi, Luigi, 2012, "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, volume 34, issue 6, pages 2228-2239, DOI: 10.1016/j.eneco.2012.06.024.
• Vaona, Andrea, 2012, "Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: The (ir)relevance of structural breaks," Energy Policy, Elsevier, volume 45, issue C, pages 226-236, DOI: 10.1016/j.enpol.2012.02.023.
• Piaggio, Matías & Padilla, Emilio, 2012, "CO2 emissions and economic activity: Heterogeneity across countries and non-stationary series," Energy Policy, Elsevier, volume 46, issue C, pages 370-381, DOI: 10.1016/j.enpol.2012.03.074.
• Dagher, Leila & Yacoubian, Talar, 2012, "The causal relationship between energy consumption and economic growth in Lebanon," Energy Policy, Elsevier, volume 50, issue C, pages 795-801, DOI: 10.1016/j.enpol.2012.08.034.
• WenShwo Fang & Stephen M. Miller, 2012, "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1205, Apr.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012, "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1209, Aug.
• Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012, "Was the Recent Downturn in US GDP Predictable?," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1210, Dec.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel Abidin Ozdemir, 2012, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1211, Aug.
• Carlos Eduardo Caldarelli & Mirian Rumenos Piedade Bacchi, 2012, "Fatores de influência no preço do milho no Brasil [Factors that influence corn prices in Brazil]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 22, issue 1, pages 141-164, January-A.
• Chakraborty, Lekha, 2012, "Determination of Interest Rate in India: Empirical Evidence on Fiscal Deficit-Interest Links and Financial Crowding Out," Working Papers, National Institute of Public Finance and Policy, number 12/110, Dec.
• Bhanumurthy, N. R. & Das, Surajit & Bose, Sukanya, 2012, "Oil Price Shock, Pass-through Policy and its Impact on India," Working Papers, National Institute of Public Finance and Policy, number 12/99, Mar.
• Bjørnar Karlsen Kivedal, 2012, "A DSGE Model with Housing in the Cointegrated VAR Framework," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 12712, Mar.
• Bjørnar Karlsen Kivedal, 2012, "Testing for rational bubbles in the housing market," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 13312, Aug.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W01, Feb.
• Simeon Coleman & Juan C. Cuestas & Estefania Mourelle, 2012, "Investigating the oil price exchange rate nexus: evidence from Africa," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 03/2012, Jan.
• Luis Alberiko Gil-Alaña & Guiglielmo Maria Caporale & Robert Mudida, 2012, "Testing the Marshall-Lerner condition in Kenya," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 09/2012, Dec.
• Angel Marchev & Angel Marchev Jr., 2012, "Selecting and Simulating Models for Management of Investment Portfolios Using Cybernetic Approach," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 38-54, April.
• Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008, "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/13, Aug.
• Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008, "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/18, Dec.
• Christophe André & Rangan Gupta & Patrick T. Kanda, 2012, "Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure," OECD Economics Department Working Papers, OECD Publishing, number 947, Mar, DOI: 10.1787/5k9d192klphd-en.
• João Victor Issler & Hilton Hostalacio Notini & Claudia Fontoura Rodrigues, 2013, "Constructing coincident and leading indices of economic activity for the Brazilian economy," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2012, issue 2, pages 43-65, DOI: 10.1787/jbcma-2012-5k4841782xnn.
• Ivan Savin & Peter Winker, 2013, "Heuristic model selection for leading indicators in Russia and Germany," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2012, issue 2, pages 67-89, DOI: 10.1787/jbcma-2012-5k49pkpbf76j.
• Atilim Seymen, 2012, "Euro area business cycles," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2012, issue 1, pages 1-31, DOI: 10.1787/jbcma-2012-5k98xgf7dnwk.
• Bucciarelli Edgardo & Alessi Michele & Persico Tony Ernesto, 2012, "Dynamics Of Development In Europe: Analysis Of Twenty Years Data On Gdp And Hdi," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 262-266, July.
• Rãdulescu Andrei, 2012, "Economic Potential Recovery '" A European Challenge In The Medium Term," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 133-140, December.
• Simut Ramona, 2012, "The Impact Of Investments, Exports, And Openness On Economic Growth. A Comparative Study On The East European Countries," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 420-425, December.
• Katarína Danišková & Jarko Fidrmuc, 2012, "Meta-Analysis of the New Keynesian Phillips Curve," Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies), number 314, Apr.
• Roman Horvath & Dragan Petrovski, 2012, "International Stock Market Integration : Central and South Eastern Europe Compared," Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies), number 317, Jul.
• Kim Abildgren, 2012, "Financial structures and the real effects of credit-supply shocks in Denmark 1922-2011," European Review of Economic History, European Historical Economics Society, volume 16, issue 4, pages 490-510, November.
• Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012, "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 457-493, June.
• Javier Mencía, 2012, "Testing Nonlinear Dependence in the Hedge Fund Industry," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 545-587, June.
• Slãvescu Ecaterina Oana & Panait Iulian, 2012, "Improving Customer Churn Models as one of Customer Relationship Management Business Solutions for the Telecommunication Industry," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1156-1160, May.
• Dedu Vasile & Stoica Tiberiu, 2012, "Estimating Potential Output in Romania using Univariate Statistical Filters," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1355-1358, May.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH models," Economics Series Working Papers, University of Oxford, Department of Economics, number 594, Feb.
• Efrem Castelnuovo, 2012, "What does a monetary policy shock do? An international analysis with multiple filters," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0145, May.
• Elias Soukiazis & Pedro André Cerqueira & Micaela Antunes, 2012, "Growth Rates Constrained by Internal and External Imbalances: A Demand-Orientated Approach," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, in: Elias Soukiazis & Pedro A. Cerqueira, "Models of Balance of Payments Constrained Growth", DOI: 10.1057/9781137023957_6.
• Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012, "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 021, Nov.
• Donatella Baiardi & Carluccio Bianchi, 2012, "Un Indicatore per la Lombardia e per le Province di Milano e Pavia (Nuova versione)," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 158, Jan.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012, "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 170, Apr.
• Edgar Ventura & Gabriel Rodríguez, 2012, "Explaining The Determinants Of The Frequency Of Exchange Rate Interventions In Peru Using Count Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2012-340.
• Kiss, Gábor Dávid & Kosztopulosz, Andreász, 2012, "The impact of the crisis on the monetary autonomy of Central and Eastern European countries," Public Finance Quarterly, Corvinus University of Budapest, volume 57, issue 1, pages 28-52.
• David ARISTEI & Manuela Gallo, 2012, "Interest Rate Pass-Through in the Euro Area during the Financial Crisis: a Multivariate Regime-Switching Approach," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 107/2012, Oct.
• Nadia Tahir & Pervez Tahir, 2012, "Is Informal Sector Employment Marginal to Formal Sector Growth?," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 51, issue 4, pages 543-564.
• Alexander Mehnert & Andreas Nastansky, 2012, "Staatsverschuldung und Inflation : eine empirische Analyse für Deutschland," Potsdamer Schriften zu Statistik und Wirtschaft, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 02, Jul.
• Christian Calmès & Raymond Théoret, 2012, "The procyclicality of Basel III leverage: Elasticity-based indicators and the Kalman filter," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012012, Jan.
• Christian Calmès & Raymond Théoret, 2012, "Bank systemic risk and the business cycle: Canadian and U.S. evidence," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022012, Apr.
• Dagher, Leila & El Hariri, Sadika, 2012, "The impact of global oil price shocks on the Lebanese stock market," MPRA Paper, University Library of Munich, Germany, number 116123.
• Adesoye, A. Bolaji & Maku, Olukayode E. & Atanda, Akinwande AbdulMaliq, 2012, "Is Monetary Policy a Growth Stimulant in Nigeria? A Vector Autoregressive Approach," MPRA Paper, University Library of Munich, Germany, number 35844.
• Munir, Kashif & Qayyum, Abdul, 2012, "Measuring the effects of monetary policy in Pakistan: A factor augmented vector autoregressive approach," MPRA Paper, University Library of Munich, Germany, number 35976, Jan.
• Okpara, Godwin Chigozie, 2012, "On whether foreign direct investment catalyzes economic development in Nigeria," MPRA Paper, University Library of Munich, Germany, number 36319, Jan, revised 27 Jan 2012.
• Bezemer, Dirk J & Grydaki, Maria, 2012, "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper, University Library of Munich, Germany, number 36356, Jan.